Zeta-liquideo: real-time WS market data API for Zeta Markets

**Collects Zeta Futures Markets Data Only

Getting started

Select market by market index using [assetName]-[marketIndex] e.g SOL-22

Select market by expiry index using [assetName]/[expiryIndex] e.g SOL/1

Run the code snippet below in the browser Dev Tools directly or in Node.js

// connect to zeta-liquideo server running locally
const ws = new WebSocket('ws://localhost:8000/v1/ws');

ws.onmessage = (message) => {
  console.log(JSON.parse(message.data));
};

ws.onopen = () => {
  // subscribe both to trades and level2 real-time channels
  const subscribeL3 = {
    op: 'subscribe',
    channel: 'trades',
    markets: ['SOL-22']
  };

  const subscribeL2 = {
    op: 'subscribe',
    channel: 'level2',
    markets: ['SOL/1']
  };

  ws.send(JSON.stringify(subscribeL3));
  ws.send(JSON.stringify(subscribeL2));
};

Installation

npx (requires Node.js >= 15 && Node.js < 17 and git installed on host machine)

Installs and starts zeta-liquideo server running on port 8000.

npx ynpx zeta-liquideo

or

npx zeta-liquideo

If you'd like to switch to different Solana RPC node endpoint like for example devnet one, change port or run with debug logs enabled, just add one of the available CLI options.

npx ynpx zeta-liquideo --cluster devnet --endpoint default --ws-endpoint-port 8899 --log-level debug --port 8900

Alternatively you can install zeta-liquideo globally.

yarn global add zeta-liquideo
zeta-liquideo

CLI options

|                                            name                                       | default | description | | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- | ------------------------------ | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- | | port | 8000 | Port to bind server on | | endpoint | https://ssc-dao.genesysgo.net/ | Solana RPC node endpoint that zeta-liquideo uses as a data source. To use default public api, set default | | ws-endpoint-port | - | Optional Solana RPC WS node endpoint port that zeta-liquideo uses as a data source (if different than REST endpoint port) source | | log-level | info | Log level, available options: debug, info, warn and error | | minions-count | 1 | Minions worker threads count that are responsible for broadcasting normalized WS messages to connected clients | | boot-delay | 500 | Staggered boot delay in milliseconds so public RPC nodes do not rate limit 01-flask | | commitment | confirmed | Solana commitment level to use when communicating with RPC node, available options: confirmed and processed | | cluster | mainnet-beta | Solana cluster to connect to | | throttle-ms | 1000 | Throttle delay if running into rate-limiting issues loading zeta exchange on start-up |

Run npx zeta-liquideo --help or npx ynpx zeta-liquideo --help to see all available startup options.

Subscribe/unsubscribe message format

• see supported channels & corresponding data messages types
• see supported markets

{
  "op": "subscribe" | "unsubscribe",
  "channel": "level3" | "level2" | "level1" | "trades",
  "markets": string[]
}

sample subscribe message

{
  "op": "subscribe",
  "channel": "level2",
  "markets": ["SOL-22"]
}

Subscription confirmation message format

Once a subscription (or unsubscription) request is processed by the server, it will push subscribed (or unsubscribed) confirmation message or error if received request message was invalid.

{
"type": "subscribed" | "unsubscribed",
"channel": "level3" | "level2" | "level1" | "trades",
"markets": string[],
"timestamp": string
}

sample subscribed confirmation message

{
  "type": "subscribed",
  "channel": "level2",
  "markets": ["SOL-22"],
  "timestamp": "2022-05-03T06:23:26.465Z"
}

Error message format

Error message is pushed for invalid subscribe/unsubscribe messages - non existing market, invalid channel name etc.

{
  "type": "error",
  "message": "string",
  "timestamp": "string"
}

sample error message

{
  "type": "error",
  "message": "Invalid channel provided: 'levels1'.",
  "timestamp": "2021-03-23T17:13:31.010Z"
}

Supported channels & corresponding message types

When subscribed to the channel, server will push the data messages as specified below.

• trades

  • recent_trades
  • trade

• level1

  • quote

• level2

  • l2snapshot
  • l2update

• level3

  • l3snapshot
  • open
  • fill
  • change
  • done

Supported markets

Markets supported by zeta-liquideo server can be queried via GET /markets HTTP endpoint ([].alias field).

Data messages

• type is determining message's data type so it can be handled appropriately

• timestamp when message has been received from node RPC API in ISO 8601 format with milliseconds, for example: "2021-03-23T17:03:03.994Z"

• slot is a Solana's slot number for which message has produced

• version of Serum DEX program layout (DEX version)

• price and size are provided as strings to preserve precision

recent_trades

Up to 100 recent trades pushed immediately after successful subscription confirmation.

• every trade in trades array has the same format as trade message
• trades are ordered from oldest to newest

{
  "type": "recent_trades",
  "market": string,
  "trades": Trade[],
  "timestamp": string
}

sample recent_trades message

{
  "type": "recent_trades",
  "market": "SOL-22",
  "timestamp": "2021-03-24T07:05:27.377Z",
  "trades": [
    {
      "type": "trade",
      "market": "SOL-22",
      "timestamp": "2021-12-23T14:31:16.733Z",
      "slot": 112915164,
      "version": 3,
      "id": "3313016788894161792503559|3313035235638235438412464",
      "side": "sell",
      "price": "40.599",
      "size": "125.4",
      "takerAccount": "AAddgLu9reZCUWW1bNQFaXrCMAtwQpMRvmeusgk4pCM6",
      "makerAccount": "EpAdzaqV13Es3x4dukfjFoCrKVXnZ7y9Y76whgMHo5qx",
      "takerOrderId": "3313016788894161792503559",
      "makerOrderId": "3313035235638235438412464",
      "takerClientId": "875345",
      "makerClientId": "875345",
      "takerFeeCost": -3.2,
      "makerFeeCost": 15.4
    }
  ]
}

trade

Pushed real-time for each trade as it happens on a DEX (decoded from the eventQueue account).

• side describes a liquidity taker side

• id field is an unique id constructed by joining fill taker and fill maker order id

{
  "type": "trade",
  "market": string,
  "timestamp": string,
  "slot": number,
  "version": number,
  "id": string,
  "side": "buy" | "sell",
  "price": string,
  "size": string,
  "takerAccount": string,
  "makerAccount": string,
  "takerOrderId": string,
  "makerOrderId": string,
  "takerClientId": string,
  "makerClientId": string,
  "takerFeeCost": number,
  "makerFeeCost": number
}

sample trade message

{
  "type": "trade",
  "market": "SOL-22",
  "timestamp": "2021-12-23T14:31:16.733Z",
  "slot": 112915164,
  "version": 3,
  "id": "3313016788894161792503559|3313035235638235438412464",
  "side": "sell",
  "price": "40.599",
  "size": "125.4",
  "takerAccount": "AAddgLu9reZCUWW1bNQFaXrCMAtwQpMRvmeusgk4pCM6",
  "makerAccount": "EpAdzaqV13Es3x4dukfjFoCrKVXnZ7y9Y76whgMHo5qx",
  "takerOrderId": "3313016788894161792503559",
  "makerOrderId": "3313035235638235438412464",
  "takerClientId": "875345",
  "makerClientId": "875345",
  "takerFeeCost": -3.2,
  "makerFeeCost": 15.4
}

quote

Pushed real-time for any change in best bid/ask price or size for a given market (decoded from the bids and asks accounts).

• bestAsk and bestBid are tuples where first item is a price and second is a size of the best bid/ask level

{
  "type": "quote",
  "market": string,
  "timestamp": string,
  "slot": number,
  "version": number,
  "bestAsk": [price: string, size: string] | undefined,
  "bestBid": [price: string, size: string] | undefined
}

sample quote message

{
  "type": "quote",
  "market": "SOL-22",
  "timestamp": "2021-03-24T07:11:57.186Z",
  "slot": 70544253,
  "version": 3,
  "bestAsk": ["41.1", "5.0960"],
  "bestBid": ["40.6", "7.5000"]
}

l2snapshot

Entire up-to-date order book snapshot with orders aggregated by price level pushed immediately after successful subscription confirmation.

• asks and bids arrays contain tuples where first item of a tuple is a price level and second one is a size of the resting orders at that price level

• it can be pushed for an active connection as well when underlying server connection to the RPC node has been restarted, in such scenario locally maintained order book should be re-initialized with a new snapshot

• together with l2update messages it can be used to maintain local up-to-date full order book state

{
  "type": "l2snapshot",
  "market": string,
  "timestamp": string,
  "slot": number,
  "version": number,
  "asks": [price: string, size: string][],
  "bids": [price: string, size: string][]
}

sample l2snapshot message

{
  "type": "l2snapshot",
  "market": "SOL-22",
  "timestamp": "2021-03-24T09:00:53.087Z",
  "slot": 70555623,
  "version": 3,
  "asks": [
    ["40.4633", "8.6208"],
    ["40.4743", "5.8632"],
    ["40.4964", "3.7627"]
  ],
  "bids": [
    ["40.3860", "4.8541"],
    ["40.3701", "6.8054"],
    ["40.2863", "8.6631"]
  ]
}

l2update

Pushed real-time for any change to the order book for a given market with updated price levels and sizes since the previous update (decoded from the bids and asks accounts).

• together with l2snapshot, l2update messages can be used to maintain local up-to-date full order book state

• asks and bids arrays contain updates which are provided as a tuples where first item is an updated price level and second one is an updated size of the resting orders at that price level (absolute value, not delta)

• if size is set to 0 it means that such price level does not exist anymore and shall be removed from locally maintained order book

{
  "type": "l2update",
  "market": string,
  "timestamp": string,
  "slot": number,
  "version": number,
  "asks": [price: string, size: string][],
  "bids": [price: string, size: string][]
}

sample l2update message

{
  "type": "l2update",
  "market": "SOL-22",
  "timestamp": "2021-03-24T09:00:55.586Z",
  "slot": 70555627,
  "version": 3,
  "asks": [["40.5115", "7.5000"]],
  "bids": [
    ["40.4216", "0.0000"],
    ["40.4336", "5.9475"]
  ]
}

l3snapshot

Entire up-to-date order book snapshot with all individual orders pushed immediately after successful subscription confirmation.

• clientId is an client provided order id for an order

• account is an open orders account address

• accountSlot is a an open orders account slot number

• together with open, change, fill and done messages it can be used to maintain local up to date Level 3 order book state

• it can be pushed for an active connection as well when underlying server connection to the RPC node has been restarted, in such scenario locally maintained L3 order book should be re-initialized with a new snapshot

{
  "type": "l3snapshot",
  "market": string,
  "timestamp": string,
  "slot": number,
  "version": number,
  "asks": {
    "price": string,
    "size": string,
    "side": "sell",
    "orderId": string,
    "clientId": string,
    "account": string,
    "accountSlot": number,
    "feeTier": number
  }[],
  "bids": {
    "price": string,
    "size": string,
    "side": "buy",
    "orderId": string,
    "clientId": string,
    "account": string,
    "accountSlot": number,
    "feeTier": number
  }[]
}

sample l3snapshot message

{
  "type": "l3snapshot",
  "market": "SOL-22",
  "timestamp": "2021-03-24T09:49:51.070Z",
  "slot": 70560748,
  "version": 3,
  "asks": [
    {
      "orderId": "10430028906948338708824594",
      "clientId": "13065347387987527730",
      "side": "sell",
      "price": "40.5413",
      "size": "4.9049",
      "account": "EXkXcPkqFwqJPXpJdTHMdvmLE282PRShqwMTteWcfz85",
      "accountSlot": 8,
      "feeTier": 3
    }
  ],
  "bids": [
    {
      "orderId": "10414533641926422683532775",
      "clientId": "1616579378239885365",
      "side": "buy",
      "price": "40.4572",
      "size": "7.5000",
      "account": "6Yqus2UYf1wSaKBE4GSLeE2Ge225THeyPcgWBaoGzx3e",
      "accountSlot": 10,
      "feeTier": 6
    }
  ]
}

open

Pushed real-time for every new order opened on the limit order book (decoded from the bids and asks accounts).

• no open messages are pushed for order that are filled or canceled immediately, for example - ImmediateOrCancel orders

{
  "type": "open",
  "market": string,
  "timestamp": string,
  "slot": number,
  "version": number,
  "orderId": string,
  "clientId": string,
  "side": "buy" | "sell",
  "price": string,
  "size": string,
  "account": string,
  "accountSlot": number,
  "feeTier": number
}

sample open message

{
  "type": "open",
  "market": "SOL-22",
  "timestamp": "2021-03-24T10:14:33.967Z",
  "slot": 70563387,
  "version": 3,
  "orderId": "10395754856459386361922812",
  "clientId": "1616580865182472471",
  "side": "sell",
  "price": "40.3555",
  "size": "7.5000",
  "account": "6Yqus2UYf1wSaKBE4GSLeE2Ge225THeyPcgWBaoGzx3e",
  "accountSlot": 6,
  "feeTier": 6
}

change

Pushed real-time anytime order size changes as a result of self-trade prevention (decoded from the bids and asks accounts).

• size field contains updated order size

{
  "type": "change",
  "market": string,
  "timestamp": string,
  "slot": number,
  "version": number,
  "orderId": string,
  "clientId": string,
  "side": "buy" | "sell",
  "price": string,
  "size": string,
  "account": string,
  "accountSlot": number,
  "feeTier": number
}

sample change message

{
  "type": "change",
  "market": "SOL-22",
  "timestamp": "2021-03-24T10:25:21.739Z",
  "slot": 70564525,
  "version": 3,
  "orderId": "10352165200213210691454558",
  "clientId": "15125925100673159264",
  "side": "sell",
  "price": "40.1192",
  "size": "8.4494",
  "account": "EXkXcPkqFwqJPXpJdTHMdvmLE282PRShqwMTteWcfz85",
  "accountSlot": 6,
  "feeTier": 3
}

fill

Pushed real-time anytime trade happens (decoded from the eventQueue accounts).

• there are always two fill messages for a trade, one for a maker and one for a taker order

• feeCost is provided in a quote currency

{
  "type": "fill",
  "market": string,
  "timestamp": string,
  "slot": number,
  "version": number,
  "orderId": string,
  "clientId": string,
  "side": "buy" | "sell",
  "price": string,
  "size": string,
  "maker" boolean,
  "feeCost" number,
  "account": string,
  "accountSlot": number,
  "feeTier": number
}

sample fill message

{
  "type": "fill",
  "market": "SOL-22",
  "timestamp": "2021-03-24T11:27:21.739Z",
  "slot": 70564527,
  "version": 3,
  "orderId": "1035216520046710691454558",
  "clientId": "151259251006473159264",
  "side": "sell",
  "price": "40.1192",
  "size": "8.4494",
  "maker": false,
  "feeCost": 15.6,
  "account": "EXkXcPkqFwqJPXpJdTHMdvmLE282PRShqwMTteWcfz85",
  "accountSlot": 6,
  "feeTier": 3
}

done

Pushed real-time when the order is no longer on the order book (decoded from the eventQueue accounts).

• this message can result from an order being canceled or filled (reason field)

• there will be no more messages for this orderId after a done message

• it can be pushed for orders that were never open in the order book in the first place (ImmediateOrCancel orders for example)

• sizeRemaining field is available only since v1.3.2 and only for canceled orders (reason="canceled")

{
  "type": "done",
  "market": string,
  "timestamp": string,
  "slot": number,
  "version": number,
  "orderId": string,
  "clientId": string,
  "side": "buy" | "sell",
  "reason" : "canceled" | "filled",
  "sizeRemaining": string | undefined
  "account": string,
  "accountSlot": number
}

sample done message

{
  "type": "done",
  "market": "SOL-22",
  "timestamp": "2021-11-16T12:29:12.180Z",
  "slot": 107165458,
  "version": 3,
  "orderId": "117413526029161279193704",
  "clientId": "4796015225289787768",
  "side": "buy",
  "reason": "canceled",
  "account": "AqeHe31ZUDgEUSidkh3gEhkf7iPn8bSTJ6c8L9ymp8Vj",
  "accountSlot": 0,
  "sizeRemaining": "508.5"
}

HTTP API

GET /markets

Returns Zeta markets list supported by zeta-liquideo instance (it can be updated by providing custom markets.json file).

Endpoint URL

• http://localhost:8000/v1/markets - assuming zeta-liquideo runs locally on default port without SSL enabled

Response format

{
  "name": string,
  "alias": string[];
  "asset": number;
  "marketIndex": number;
  "expiryIndex": number;
  "baseMintAddress": string,
  "quoteMintAddress": string,
  "version": number,
  "address": string,
  "programId": string,
  "baseCurrency": string,
  "quoteCurrency": string,
  "tickSize": number,
  "minOrderSize": number,
}[]

sample response

[
  {
    "name": "SOL-22",
    "alias": ["SOL-22", "SOL/0"],
    "asset": 0,
    "marketIndex": 22,
    "expiryIndex": 0,
    "version": 3,
    "address": "652F3eya36Lk9qLa5gMNGQYT1mEKdcLGkiUbxUztSJAh",
    "programId": "zDEXqXEG7gAyxb1Kg9mK5fPnUdENCGKzWrM21RMdWRq",
    "baseMintAddress": "9n4nbM75f5Ui33ZbPYXn59EwSgE8CGsHtAeTH5YFeJ9E",
    "quoteMintAddress": "EPjFWdd5AufqSSqeM2qN1xzybapC8G4wEGGkZwyTDt1v",
    "tickSize": 0.000001,
    "minOrderSize": 1
  }
]

References

• tardis-dev Mango-bowl
• tardis-dev Serum-vial